This paper reports a Hertzian indentation study of damage modes in zirconia-based plasma-sprayed coatings on metal substrates, with and without bond coats. The structure of the study is as follows: (i) measurement of Hertzian indentation stress-strain curves, first on individual bulk material components (controls) and then on the composite layer structures, to quantify the degree of plasticity; (ii) micrographic analysis of the corresponding subsurface damage modes, particularly of the yield zones, in both coatings and underlayers; (iii) finite element modelling of the elastic-plastic stress fields in the adjacent layers, again with a focus on the yield zones. It is demonstrated that the substrate can have a profound influence on the damage distribution, depending on the degree of elastic-plastic mismatch relative to the coating. The bond coat, by virtue of its relative thinness, plays a lesser role in the damage intensity, not with standing an apparent improvement in substrate adhesion. Indentation variables followed are applied load, to examine the evolution of damage, and number of cycles, to examine fatigue. The results indicate the power and simplicity of the Hertzian technique as a route to mechanical characterization of coating structures: for identifying damage modes, especially yield (but also fracture, in the present case delamination fracture); for evaluating damage parameters, such as Young's modulus and the yield stress, from FEM analysis of stress-strain curves and yield zone microscopy; and for quantifying design concepts, e.g. maximum sustainable bearing stress and damage tolerance.